Discussing Matriciel EURUSD Dhigh Dlow
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GOOD MORNING, I’M A NEOFITE AND I’M STARTING TO STUDY THIS TYPE OF TRADING.
I TESTED THE STRATEGY IN THE ANNEX BUT IN REAL THE SYSTEM DID NOT CLOSE THE POSITION. WHAT COULD IT BE DUE TO? THANK YOUHello gentlemen,
I also made some modifications to this highly interesting EUR/CAD 15m strategy. Changes:
- Changed spread to 2.5 since that is what IG uses on EUR/CAD.
- Added a re-invest code found on this forum. It’s highly flexible, choose your own risk by adjusting the last line (I set 25 to default. 100 = 1 contract). Thank you creator of that code!
- Lower stop loss (didn’t have effect on backtesting, just the illusion of lower risk and keep IG happy when go live).
- Removed graphonprice to allow it to run on automatic trading in demo.
As mentioned by the original creator Matriciel the time-in-market is i bit high which will add interest cost. But the % winning trades and gain/loss ratio is fabulous. It would be nice to not have a large MAE in almost every trade but I don’t know how to fix that 🙂
// EURCAD Dhigh/Dlow v2 15m // spread 2.5 defparam cumulateorders = false defparam preloadbars = 10000 // once enablets = 1 once select=2 // optimized for period1,2,3 once tds =1 // added on optimized results // code re-invest Capital = 10000 Equity = Capital + StrategyProfit Position = Max(1, Equity * (1/Capital)) Position = Round(Position*100) Position = Position/25 if select=1 then // TF 15 MIN tr1=45 tr2=25 period1=78 period2=12 period3=4 elsif select=2 then // TF 15 MIN tr1=45 tr2=20 period1=84 period2=6 period3=8 endif // trend detection if tds=0 then trendup=1 trenddown=1 else if tds=1 then trendup=(Average[tr1](close)>Average[tr1](close)[1]) trenddown=(Average[tr2](close)<Average[tr2](close)[1]) else if tds=2 then endif endif endif // strategy //ctime = time >= 000000 and time <= 220000 mm = average[period1,3](totalprice) Newhighest=max(DHigh(0), DHigh(1)) Newlowest=min(DLow(0), DLow(1)) avghl = (Newhighest+Newlowest)/2 c1 = average[period2,period3]((Newhighest+avghl)/2) c2 = average[period2,period3]((Newlowest+avghl)/2) condbuy = mm > c1 condbuy = condbuy and close crosses over avghl condbuy = condbuy and trendup condsell = mm < c2 condsell = condsell and close crosses under avghl condsell = condsell and trenddown // //if ctime then if condbuy then buy position contract at market endif if condsell then sellshort position contract at market endif //endif // trailing stop atr if enablets then // once steps=0 // set to 0 to ignore steps once minatrdist=16 once atrtrailingperiod = 14 // atr parameter value once minstop = 0 // minimum trailing stop distance if barindex=tradeindex then trailingstoplong = 16 // trailing stop atr relative distance trailingstopshort = 16 // trailing stop atr relative distance else if longonmarket then if prezzouscita>0 then if trailingstoplong>minatrdist then if prezzouscita>prezzouscita[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-steps endif else trailingstoplong=minatrdist endif endif endif if shortonmarket then if prezzouscita>0 then if trailingstopshort>minatrdist then if prezzouscita<prezzouscita[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-steps endif else trailingstopshort=minatrdist endif endif endif endif // atrtrail=averagetruerange[atrtrailingperiod]((close/1)*pipsize) trailingstartl=round(atrtrail*trailingstoplong) trailingstarts=round(atrtrail*trailingstopshort) tgl=trailingstartl tgs=trailingstarts if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close prezzouscita=0 endif // if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then prezzouscita=maxprice-tgl*pointsize else prezzouscita=maxprice-minstop*pointsize endif endif endif // if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then prezzouscita=minprice+tgs*pointsize else prezzouscita=minprice+minstop*pointsize endif endif endif // if longonmarket then if prezzouscita>0 then sell at prezzouscita stop endif endif if shortonmarket then if prezzouscita>0 then exitshort at prezzouscita stop endif endif endif set stop %loss 1.7Weird … I don’t get the same curve or stats as you and there is no Time that I need to align with UK time, so I can’t think why we should be different.
I’m on SB and you are on CFD but I would expect that to only show a minor difference in performance stats?
Any thoughts anyone or what do you get??
I’ll try it on my CFD Platform.
EDIT / PS
Yep …. on CFD same as you now @swedshare … see 3rd image … how unsettling is that??
Can only be that IG are playing around with the SB data to our disadvantage??
Price and spread (2.5) are the same currently on SB and CFD, but they can’t always be else performance stats would be same on SB as CFD … or has my coffee not worked through yet?? 🙂
3rd image attached (missed off from above post).
I get 74 trades on CFD (same as you) but I only get 58 trades on SB … and both charts are running over the same time period of 100k bars.
Very worrying anomaly for us British .. is Brexit hurting us already!!?? 🙂 🙂
Are you sure about your strategy ?
if tp not reached, > sl. 200k test/spread 2.5
Hi @MAKSIDE
I definately have doubts about the long term robustness of the strategy. I made some minor changes since the v2. See attached for current version. I have disabled the re-invest and only buy 1 contract each time. Also don’t hold position over weekend. If you would like to check how the equity curve developes in 200k it would be appreciated. Spread is now set to 6 to reflect what IG offers. Initial capital 1000 CAD.
// Created by Matriciel. Added MM, riskM and calender by swedshare // EURCAD Dhigh/Dlow v3 15m // spread = 6 (actual spread on IG CFD) defparam cumulateorders = false defparam preloadbars = 5000 //code re-invest Capital = 1000 // initial capital Equity = Capital + StrategyProfit Position = Max(1, Equity * (1/Capital)) Position = Round(Position*100) Position = Position/100 // not activated. Change "1" to "position" in the buy conditions to use re-invest. //******************** set stop %loss 1.30 //code quit strategy maxequity = max(equity,maxequity) DrawdownNeededToQuit = 40 // percent drawdown from max equity to stop strategy if equity < maxequity * (1 - (DrawdownNeededToQuit/100)) then quit endif //***************** // Force close of positions at Friday 21:30:00 (UTC+2 Europe/Berlin) if dayofweek = 5 and time = 213000 then IF longonmarket THEN SELL AT MARKET endif if shortonmarket then EXITSHORT AT MARKET ENDIF ENDIF //************* // Don't take position after friday 20:00:00 (UTC+2 Europe/Berlin) BadTime = dayofweek = 5 AND OpenTime > 200000 //************* once enablets = 1 once select=1 // optimized for period1,2,3 once tds =1 // added on optimized results if select=1 then // TF 15 MIN tr1=45 tr2=25 period1=78 period2=12 period3=4 elsif select=2 then // TF 15 MIN tr1=45 tr2=20 period1=84 period2=6 period3=8 endif // trend detection if tds=0 then trendup=1 trenddown=1 else if tds=1 then trendup=(Average[tr1](close)>Average[tr1](close)[1]) trenddown=(Average[tr2](close)<Average[tr2](close)[1]) else if tds=2 then endif endif endif mm = average[period1,3](totalprice) Newhighest=max(DHigh(0), DHigh(1)) Newlowest=min(DLow(0), DLow(1)) avghl = (Newhighest+Newlowest)/2 c1 = average[period2,period3]((Newhighest+avghl)/2) c2 = average[period2,period3]((Newlowest+avghl)/2) condbuy = mm > c1 condbuy = condbuy and close crosses over avghl condbuy = condbuy and trendup condsell = mm < c2 condsell = condsell and close crosses under avghl condsell = condsell and trenddown if condbuy and not BadTime then buy 1 contract at market endif if condsell and not BadTime then sellshort 1 contract at market endif //endif // trailing stop atr if enablets then // once steps=0 // set to 0 to ignore steps once minatrdist=16 once atrtrailingperiod = 14 // atr parameter value once minstop = 0 // minimum trailing stop distance if barindex=tradeindex then trailingstoplong = 16 // trailing stop atr relative distance trailingstopshort = 16 // trailing stop atr relative distance else if longonmarket then if prezzouscita>0 then if trailingstoplong>minatrdist then if prezzouscita>prezzouscita[1] then trailingstoplong=trailingstoplong else trailingstoplong=trailingstoplong-steps endif else trailingstoplong=minatrdist endif endif endif if shortonmarket then if prezzouscita>0 then if trailingstopshort>minatrdist then if prezzouscita<prezzouscita[1] then trailingstopshort=trailingstopshort else trailingstopshort=trailingstopshort-steps endif else trailingstopshort=minatrdist endif endif endif endif // atrtrail=averagetruerange[atrtrailingperiod]((close/1)*pipsize) trailingstartl=round(atrtrail*trailingstoplong) trailingstarts=round(atrtrail*trailingstopshort) tgl=trailingstartl tgs=trailingstarts if not onmarket or ((longonmarket and shortonmarket[1]) or (longonmarket[1] and shortonmarket)) then maxprice=0 minprice=close prezzouscita=0 endif // if longonmarket then maxprice=max(maxprice,close) if maxprice-tradeprice(1)>=tgl*pointsize then if maxprice-tradeprice(1)>=minstop then prezzouscita=maxprice-tgl*pointsize else prezzouscita=maxprice-minstop*pointsize endif endif endif // if shortonmarket then minprice=min(minprice,close) if tradeprice(1)-minprice>=tgs*pointsize then if tradeprice(1)-minprice>=minstop then prezzouscita=minprice+tgs*pointsize else prezzouscita=minprice+minstop*pointsize endif endif endif // if longonmarket then if prezzouscita>0 then sell at prezzouscita stop endif endif if shortonmarket then if prezzouscita>0 then exitshort at prezzouscita stop endif endif endifbertrandpinoy thanked this post
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Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 12/05/2019 |
| Status: | Active |
| Attachments: | 55 files |
